The pyramids were used for burial. You are almost right in saying that there have been no bodies found in them to date. Tutankamen is the only body to have been found of any Pharoh at this point. All of the pyrramids have been looted long ago, and the bodies scattered to the wind. Since Egyptians are always buried with grave goods the tombs were always looted. This is why most tombs are set up with multiple chambers, the King's chamber, a afalse chamber and a so called Queen's chaber (even though the Queens were NEVER burried with the Kings, but reside in the Queen's vally, except for Hatshupsut, who was a woman Pharoh, and the only woman known to have been burried in the King's Vally.) There have been discoveries of the "Ka" of some Pharoh's in several of the phyramids, which gived weight to the concept of the pyrmaids being burial tombs. The Egyptians believed of rebirth after death, but, being so obsessed with the physical as they are, they believed that the spirit must reside within a body, hense mummification. The body must be preserved in order to give a home to the spirit. They were not stuoid however and realized that in some cases mummification may not work and the body may putrify, in which case the spirit would be homeless, so Pharohs were always buried near a statue of themselves, known as the Ka, that would become the new home for the body should the mummification process not work. The Ka is located in a seperate chamber within the pyramid complex.
For the poster who tought that the Egyptians were buried in smaller tombs and not the pyramids themselves, they are partly correct. The pyramids are a evolution actually of earlier grave temples known as Mastabas. The Mastabas are essentially a one story raised block of a structure that sontained the essential elements of the pyrmaid, King's chamber, etc. The as the Egyptian empire grew in wealth, they started stacking them on top of each other so that they were essentially stepped pyramids (the oldest known piece of architecture in the world is the stepped pyramid at Djoser by the architect Imhotepe). From the stepped pyramid the phyramid was born after the recognition of the sun god Ra and his symbol.